SquantLib is a financial engineering tool written in Scala.
Helps, suggestions and bug-fix are very much appreciated!!
###Rates
- Building discountable yield curves from
- cash rate, swap rate, ccy basis swap and 3m/6m basis swap
- non-deliverable swap
- fx swap points
- Draw simple charts
- Compute cashflow discount factor using given discounting currency & spread.
- Build swaption volatility surface
- Pricing simple swaptions
###FX
- Compute forward fx
- Build fx volatility surfaces
###Equity and Index
- Compute forward price
- Build volatility surfaces
###Bond
- Cashflows
- Fixed rate
- Binary
- Sum of linear equations
- Cap, floor
- Forward, Put
- American knock-in
- Issuer's early termination
- Automatic trigger
- Greeks
- rate delta, fx delta
- rate vega, fx vega
- yield (simple, compounding)
- duration (effective, modified, macaulay)
- convexity, etc.
- Analysis
- FX exercise frontier
- Rate exercise frontier
- Forward bond price
- Handling bonds with published prices
###Historical
- Historical volatility
- Historical correlation
- Moving average, etc
###Exotic
- BS formula
- Montecarlo models
- single factor only for now
- continuous dividend
- discrete dividend + repo
- Model extension
- Exercise frontier pre-computation for issuer's callability
###To Do
- More sophisticated pricing models
- Rate exotics (Bermudan swaptions)
Masakatsu Wakayu (masakatsu.wakayu@imperial-ft.com) Imperial Finance & Technology (http://www.imperial-ft.com)